Using Panopticon with OneTick databases to perform real-time and historic Transaction Cost Analysis
Effective Transaction Cost Analysis (TCA) today requires a combination of financial visual analysis with high performance tick history databases and Complex Event Processing (CEP) engines. Traders and managers must analyze massive tick, quote and trade history data sets. They must quickly find trends, outliers and clustering for historical analysis and real-time monitoring applications. In this webinar, we analyze orders and fills across venues, industries, and algo strategy focusing on implementation shortfall /slippage.
We leverage Panopticon to provide the visual analysis of the data set and OneMarketData's OneTick database to provide the heavy lifting of processing and merging the transactions with the associated tick history. We look back and highlight areas of under and over performance within the historical transaction record, including the correlations between instrument, industrial hierarchy, algo strategy, and venue.
We also drill down into particular orders with unusual market participation values and view the fill profile and prices achieved mapped against the underlying exchange pricing. We will then switch to analyzing the data in real time, specifically monitoring the aggregate position of all trades by industry, venue, buy/sell, and strategy, and as orders occur and are gradually filled through individual child orders. This will highlight the variance to expected performance.
This functionality is made possible through the combination of OneTick and Panopticon technology solutions.
In this webinar you will:
- Learn how the Panopticon visual analytics toolset is designed to integrate into streaming and historic tick history solutions.
- See how to retrieve tick history from OneTick.
- Understand how and why data returned from OneTick is conflated.
- Explore the tick history storage and analysis capabilities of OneTick, including the joining of internal and market data sets.
- Construct OneTick Queries (OTQs) using a simple visual interface.
- Understand the CEP nature of running continuous queries in real time monitoring applications.
Louis Lovas is the Director of Solutions at OneMarketData and brings over 20 years of experience in developing cutting edge solutions for Equities and Foreign Exchange and is a leading voice on industry trends, trading technology and Complex Event Processing (CEP) for Capital Markets. Prior to joining OneMarketData, Louis was the Chief Architect and Fellow of Apama products at Progress Software. Louis has a B.S. in Business Administration/Management.
David Wilson is a Senior Consultant for OneMarketData, with over 15 years experience in solutions for the financial services industry across front, middle and back office. Prior to joining OneMarketData David was Product Manager for Vhayu Technologies, ran the DMA and Client Reporting Technology platforms at Deutsche Bank and managed OMS development for OMX. David has a Bachelors Degree in Computer Information Systems from Glasgow Caledonian University.